Von Neumann Analysis PDF

Review
Exponential Growth
Von-Neumann Stability Analysis
Summary
V ON -N EUMANN S TABILITY A NALYSIS
Dr. Johnson
School of Mathematics
Semester 1 2008
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Dr. Johnson MATH65241

Review
Exponential Growth
Summary
O UTLINE
1 R EVIEW
2 E XPONENTIAL G ROWTH
Stability under exponential growth
3 V ON -N EUMANN S TABILITY A NALYSIS

Fourier Series
Growth of Errors
The Fully Implicit Scheme
Richardson’s Scheme
4 S UMMARY
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Review
Exponential Growth
Summary
Errors will propogate through the solution;
ek = Ak e0 .
We can bound the errors by the equivalent conditions
||A|| ≤ 1, or max |λs | ≤ 1

s
Using the norm condition, we find the explicit scheme requires
1
β≤
2
and from eigenvalue analysis the Crank-Nicolson scheme has
no restrictions.
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Review
Exponential Growth
Stability under exponential growth
Summary
The condition ||A|| ≤ 1 does not make allowance for solutions

of the pde which may be growing exponentially in time.
A necessary and sufficient condition for stability when the
solution of the pde is increasing exponentially in time is:
||A|| ≤ 1 + M∆t = 1 + O (∆t )
where M is a constant independent of ∆x and ∆t.
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Review Fourier Series
Exponential Growth Growth of Errors
Von-Neumann Stability Analysis The Fully Implicit Scheme
Summary Richardson’s Scheme
W HY V ON -N EUMANN ?
A very versatile tool for analysing stability is the Fourier

method developed by von Neumann.
Here initial values at mesh points are expressed in terms of a
finite Fourier series, and we consider the growth of individual
Fourier components.
We do not need to find eigenvalues, or matrix norms.
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F OURIER S ERIES
A finite sine or cosine series expansion in the interval

a ≤ x ≤ b takes the form
³ sπx ´ ³ sπx ´
∑ as sin L
, or ∑ bs cos L
s s
where L = b − a.
Now consider an individual component written in complex
exponential form at a mesh point x = xj = a + j ∆x
isx π isaπ isj ∆x π

As e L = As e L e L = Ās e iαs j ∆x
where αs = sπ/L.
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E XPRESS THE INITIAL CONDITION AS A F OURIER

SERIES
Given initial data we can express the initial values as

n
wj0 = ∑ Ās e iα j ∆x
s
j = 0, 1, . . . , n,
s =0
We use the n + 1 equations above to determine the n + 1

unknowns Ā.
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E RRORS G ROWING WITH T IME
We want to find out how each Fourier mode develops in time.

Assume a simple separable solution of the form
n n
wjk = ∑ Ās e iαs j ∆x e Ωtk = ∑ Ās e iα j ∆x e Ωk∆t
s
s =0 s =0
n
= ∑ Ās e iα j ∆x ξ k ,
s
s =0
where ξ = e Ω∆t .
Here ξ is called the amplification factor.
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E RRORS G ROWING WITH T IME
For stability we thus require:
|ξ | ≤ 1.
If the exact solution of the pde grows exponentially, then the

difference scheme will allow such solutions if
|ξ | ≤ 1 + M∆t
where M does not depend on ∆x or ∆t.
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F ULLY I MPLICIT S CHEME

Consider the fully implicit scheme
wjk +1 − wjk
" k +1
wj +1 − 2wjk +1 + wjk−+11
#
=κ
∆t ∆x 2
Let us look at just one of the components of the Fourier series

¯
wjk ¯ = ξ k e iαs j ∆x
¯
s
Then substituting into the above gives
1 k κξ k +1 −iαs ∆x
ξ (ξ − 1)e iαs j ∆x = (e − 2 + e iαs ∆x )e iαs j ∆x .
∆t ∆x 2 university-logo

Thus with β = ∆tκ/∆x 2
αs ∆x
µ ¶
2
ξ − 1 = βξ (2 cos(αs ∆x ) − 2) = −4βξ sin .
2
This gives
1
ξ= ³ ´,
αs ∆x
1 + 4β sin2 2
and clearly 0 < ξ ≤ 1 for all β > 0 and for all αs .

Thus the fully implicit scheme is unconditionally stable.
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V ON -N EUMANN A NALYSIS
The Richardson scheme is given by
wjk +1 − wjk −1
" #
wjk+1 − 2wjk + wjk−1
=κ
∆t ∆x 2
Use von-Neumann analysis and write
wjk = ξ k e iαs j ∆x ,
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After substitution we have
ξ k −1 (ξ 2 − 1)e iαs j ∆x = βξ k (e −iαs ∆x − 2 + e iαs ∆x )e iαs j ∆x .
Which gives
αs ∆x
µ ¶
2 2
ξ − 1 = −4βξ sin .
2
where β = ∆tκ/∆x 2 .
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Thus
αs ∆x
µ ¶
2 2
ξ + 4βξ sin − 1 = 0.
2
This quadratic has two roots ξ 1 , ξ 2 . The sum and product of

the roots is given by
αs ∆x
µ ¶
ξ 1 + ξ 2 = −4β sin2 , ξ 1 ξ 2 = −1.
2
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For stability we require |ξ 1 | ≤ 1 and |ξ 2 | ≤ 1

The product of the roots show that if |ξ 1 | < 1 then |ξ 2 | > 1,
and vice-versa.
Also if ξ 1 = 1 and ξ 2 = −1 then we must have β = 0.
Thus the Richardson scheme is unconditionally unstable.
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Review
Exponential Growth
Summary
Von-Neumann is one of the simplest ways to evaluate stability.

We look at the growth rate of the Fourier components.
The stability conditions on the amplification factor ξ are:
|ξ | ≤ 1
and if the exact solution of the pde grows exponentially:
|ξ | ≤ 1 + M∆t
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Review

V ON -N EUMANN S TABILITY A NALYSIS

Dr. Johnson MATH65241

3 V ON -N EUMANN S TABILITY A NALYSIS

Dr. Johnson MATH65241

Errors will propogate through the solution;

||A|| ≤ 1, or max |λs | ≤ 1

Using the norm condition, we find the explicit scheme requires

Dr. Johnson MATH65241

The condition ||A|| ≤ 1 does not make allowance for solutions

||A|| ≤ 1 + M∆t = 1 + O (∆t )

where M is a constant independent of ∆x and ∆t.

Dr. Johnson MATH65241

A very versatile tool for analysing stability is the Fourier

Dr. Johnson MATH65241

A finite sine or cosine series expansion in the interval

isx π isaπ isj ∆x π

Dr. Johnson MATH65241

E XPRESS THE INITIAL CONDITION AS A F OURIER

Given initial data we can express the initial values as

We use the n + 1 equations above to determine the n + 1

Dr. Johnson MATH65241

E RRORS G ROWING WITH T IME

We want to find out how each Fourier mode develops in time.

Dr. Johnson MATH65241

E RRORS G ROWING WITH T IME

For stability we thus require:

If the exact solution of the pde grows exponentially, then the

where M does not depend on ∆x or ∆t.

Dr. Johnson MATH65241

F ULLY I MPLICIT S CHEME

Let us look at just one of the components of the Fourier series

Then substituting into the above gives

Dr. Johnson MATH65241

Thus with β = ∆tκ/∆x 2

and clearly 0 < ξ ≤ 1 for all β > 0 and for all αs .

Dr. Johnson MATH65241

The Richardson scheme is given by

Use von-Neumann analysis and write

Dr. Johnson MATH65241

After substitution we have

ξ k −1 (ξ 2 − 1)e iαs j ∆x = βξ k (e −iαs ∆x − 2 + e iαs ∆x )e iαs j ∆x .

Dr. Johnson MATH65241

This quadratic has two roots ξ 1 , ξ 2 . The sum and product of

Dr. Johnson MATH65241

For stability we require |ξ 1 | ≤ 1 and |ξ 2 | ≤ 1

Dr. Johnson MATH65241

Von-Neumann is one of the simplest ways to evaluate stability.

and if the exact solution of the pde grows exponentially:

Dr. Johnson MATH65241

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